Backward stochastic differential equations with Young drift

Joscha Diehl; Jianfeng Zhang

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arXiv · 1610.03719

Backward stochastic differential equations with Young drift

Joscha Diehl·Jianfeng Zhang

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Abstract

We prove via a direct fixpoint argument the well-posedness of backward stochastic differential equations containing an additional drift driven by a path of finite $p$-variation with $p \in [1,2)$. An application to the Feynman-Kac representation of semilinear rough partial differential equations is given.

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Joscha Diehl, Jianfeng Zhang. 2016-10-12. Backward stochastic differential equations with Young drift. https://arxiv.org/abs/1610.03719

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